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dc.contributor.authorAndersen, Torben G.en
dc.contributor.authorBollerslev, Timen
dc.contributor.authorChristoffersen, Peter F.en
dc.contributor.authorDiebold, Francis X.en
dc.date.accessioned2006-08-03-
dc.date.accessioned2009-07-24T13:47:32Z-
dc.date.available2009-07-24T13:47:32Z-
dc.date.issued2005-
dc.identifier.piurn:nbn:de:hebis:30-10786en
dc.identifier.urihttp://hdl.handle.net/10419/25447-
dc.description.abstractWhat do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of market risk. Clearly, the demands of real-world risk management in financial institutions - in particular, real-time risk tracking in very high-dimensional situations - impose strict limits on model complexity. Hence we stress parsimonious models that are easily estimated, and we discuss a variety of practical approaches for high-dimensional covariance matrix modeling, along with what we see as some of the pitfalls and problems in current practice. In so doing we hope to encourage further dialog between the academic and practitioner communities, hopefully stimulating the development of improved market risk management technologies that draw on the best of both worlds.en
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2005/02en
dc.subject.jelG10en
dc.subject.ddc330en
dc.subject.stwRisikomanagementen
dc.subject.stwPortfolio-Managementen
dc.subject.stwARCH-Modellen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titlePractical volatility and correlation modeling for financial market risk management-
dc.typeWorking Paperen
dc.identifier.ppn515219037en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200502en

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